My Forex strategies work on days that close when the New York markets close at 17:00 New York time, but the data comes with daily roll-overs either at 00:00 UTC (19:00 EST) or 00:00 EST.

I'd like to create a custom consolidator to make QuoteBars every day at 17:00 New York time.

I've tried the approach suggested in this post, but there are things missing.

  • It doesn't build when I wire the custom consolidator to my data handler,
  • I guessed what WorkingData should get.
  • I don't know what Scan() should do.

I'd appreciate any suggestions.

I thought an alternative would be to clone and modify the QuoteBarConsolidator class. Can I get that somewhere?